General Motors Company's drop sparks a flurry of option activity

The 20 stocks listed in the table below have attracted the highest total options volume during the past 10 trading days. Names highlighted are new to the list since the last time the study was run, and data is courtesy of Schaeffer's Senior Quantitative Analyst Rocky White. One name of notable interest this afternoon is General Motors Company (NYSE:GM).

Similar to sector peer Ford Motor Company (NYSE:F), General Motors Company is in the red today, after posting a wider-than-forecast drop in deliveries last month. In the stock's options pits, meanwhile, overall option volume is running at an 85% mark-up to the average intraday pace. Against this increased demand -- and with GM's quarterly earnings on tap for Thursday morning -- the stock's 30-day, at-the-money implied volatility (IV) hit a 52-week high earlier, before easing back to its current perch at 33.9%. For comparison's sake, this metric stood at a slimmer 26.1% on Jan. 17.

On the call side, GM's March 37 strike has seen notable activity. Nearly all of the 10,430 contracts traded here have done so on the ask side, and IV was last seen 2.4 percentage points higher, pointing to buy-to-open activity. Delta for the call is docked at 0.35, suggesting a 35% chance of an in-the-money finish. Of note -- GM has not toppled the $42 mark since emerging from bankruptcy in 2010.

On the put side, the February 35 strike has garnered attention from one trader in particular, who scooped up 4,000 of the contracts closer to the ask price for $0.96 apiece. IV rose at the transaction, indicating the initiation of new bearish bets. Should GM fail to breach the strike price by the close on Friday, Feb. 21 -- when front-month options expire -- the most the trader stands to lose is the premium paid. However, with earnings looming, premium on the equity's front-month options is relatively expensive at the moment, per GM's Schaeffer's Volatility Index (SVI) of 34%, which ranks in the 94th percentile of its annual range.

Fundamentally, General Motors Company (NYSE:GM) has a solid history on the earnings stage, and has bested analysts' bottom-line estimates in six of the past eight quarters. The stock has followed up by posting average gains of 2.1% and 2.5% in the subsequent day and week, respectively. For the company's fourth quarter, Wall Street is calling for a profit of 87 cents per share -- an 81% improvement over GM's year-ago results.